Electronic market message management of temporally specific messages

ABSTRACT

Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed.

BACKGROUND

A financial instrument trading system, such as a futures exchange,referred to herein also as an “Exchange”, such as the Chicago MercantileExchange Inc. (CME), provides a contract market where financialinstruments, for example futures and options on futures, are tradedusing electronic systems. Futures is a term used to designate allcontracts for the purchase or sale of financial instruments or physicalcommodities for future delivery or cash settlement on a commodityfutures exchange. A futures contract is a legally binding agreement tobuy or sell a commodity at a specified price at a predetermined futuretime. An option is the right, but not the obligation, to sell or buy theunderlying instrument (in this case, a futures contract) at a specifiedprice within a specified time. The commodity to be delivered infulfillment of the contract, or alternatively the commodity for whichthe cash market price shall determine the final settlement price of thefutures contract, is known as the contract's underlying reference or“underlier.” The terms and conditions of each futures contract arestandardized as to the specification of the contract's underlyingreference commodity, the quality of such commodity, quantity, deliverydate, and means of contract settlement. Cash Settlement is a method ofsettling a futures contract whereby the parties effect final settlementwhen the contract expires by paying/receiving the loss/gain related tothe contract in cash, rather than by effecting physical sale andpurchase of the underlying reference commodity at a price determined bythe futures contract, price.

Typically, the Exchange provides for a centralized “clearing house”through which all trades made must be confirmed, matched, and settledeach day until offset or delivered. The clearing house is an adjunct tothe Exchange, and may be an operating division of the Exchange, which isresponsible for settling trading accounts, clearing trades, collectingand maintaining performance bond funds, regulating delivery, andreporting trading data. The essential role of the clearing house is tomitigate credit risk. Clearing is the procedure through which theClearing House becomes buyer to each seller of a futures contract, andseller to each buyer, also referred to as a novation, and assumesresponsibility for protecting buyers and sellers from financial loss dueto breach of contract, by assuring performance on each contract. Aclearing member is a firm qualified to clear trades through the ClearingHouse.

Current financial instrument trading systems allow traders to submitorders and receive confirmations, market data, and other informationelectronically via electronic messages exchanged using a network. These“electronic” marketplaces have largely supplanted the pit based tradingsystems whereby the traders, or their representatives, all physicallystand in a designated location, i.e. a trading pit, and trade with eachother via oral and hand based communication. Anyone standing in or nearthe trading pit may be privy to the trades taking place, i.e. both whois trading and what they are trading, allowing, for example, oneparticipant to derive and/or undermine another participant's tradingstrategy and thereby garner an unfair advantage or otherwise skew themarket. Electronic trading systems, in contrast, ideally attempt offer amore efficient, fair and balanced market where market prices reflect atrue consensus of the value of traded products among the marketparticipants, where the intentional or unintentional influence of anyone market participant is minimized if not eliminated, and where unfairor inequitable advantages with respect to information access areminimized if not eliminated.

Electronic marketplaces attempt to achieve these goals by usingelectronic messages to communicate actions and related data of theelectronic marketplace between market participants, clearing firms,clearing houses, and other parties. The messages can be received usingan electronic trading system, wherein an action associated with themessages may be executed. For example, the message may containinformation relating to an order to buy or sell a product in aparticular electronic marketplace, and the action associated with themessage may indicate that the order is to be placed in the electronicmarketplace such that other orders which were previously placed maypotentially be matched to the order of the received message. In this waythe electronic marketplace may conduct market activities throughelectronic systems with minimized face-to-face interaction as waspreviously required in pit based trading systems.

Electronic trading systems, however, may provide limited control bymarket participants of the execution of actions in a market.Specifically, once a message has been sent by a market participant, themarket participant may be limited by the timing and deterministicprocessing of messages by the electronic trading system for executingactions associated with the electronic messages. Any control over theexecution of actions associated with electronic messages previously sentmay require the submission of additional electronic messages, or may notbe possible at all. Market participants may desire an increased controlof market activity than is generally available with such traditionalelectronic trading systems. This increased control may allow a marketparticipant an ability to have more control over how, where, when,and/or under what circumstances actions are executed in an electronictrading system.

Electronic trading systems may also require the use of additional ordermatching techniques to execute orders submitted through the system, asface-to-face communication and acceptance of trades may not be providedas readily in an electronic trading system wherein human discretion maybe at least partially replaced by programmed and configured logic toexecute trades of orders according to established rules and principlesof the market.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts an electronic message as communicated in an illustrativecomputer network system that may be used to implement electronic marketmessage management.

FIG. 2A depicts an illustrative computer network system that may be usedto implement aspects of the disclosed embodiments.

FIG. 2B depicts a block diagram of a message management module and anorder books module for use in the system of FIG. 1.

FIG. 3A depicts a flow chart for managing electronic market messages tofacilitate placing orders and executing trades that may be implementedusing the system of FIG. 2A.

FIG. 3B depicts a flow chart for managing electronic market messages tofacilitate executing trades that may be implemented using the system ofFIG. 2A.

FIG. 4 shows an illustrative embodiment of a general computer system foruse with the system of FIG. 2A.

FIG. 5 depicts a diagram for managing the communication of orders with amarket order book operating using batch auction techniques.

DETAILED DESCRIPTION

The disclosed embodiments relate generally to the communication,management, and manipulation of electronic messages and the datacontained therein. Specifically, the disclosed embodiments provide forparticular configurations, and methods of operation, of systems forreceiving and manipulating electronic messages as well as performingactions associated with the data contained therein. As such, marketparticipants may be provided additional control over the execution ofactions in an electronic trading system through the inclusion ofadditional data and/or information in electronic messages that canindicate to a specifically configured electronic trading system how,where, when, and/or under what circumstances actions are to be executedin an electronic trading system. The additional data may indicateadditional actions, such as conditional actions and/or the timing of theexecution of actions that are to be associated with the messages.

While the disclosed embodiments may be discussed in relation to futuresand/or options on futures trading, it will be appreciated that thedisclosed embodiments may be applicable to any equity, fixed incomesecurity, currency, commodity, options or futures trading system ormarket now available or later developed. It will be appreciated that atrading environment, such as a futures exchange as described herein,implements one or more economic markets where rights and obligations maybe traded. As such, a trading environment may be characterized by a needto maintain market integrity, transparency, predictability,fair/equitable access and participant expectations with respect thereto.For example, an exchange must respond to inputs, such as trader orders,cancellation, etc., in a manner as expected by the market participants,such as based on market data, e.g. prices, available counter-orders,etc., to provide an expected level of certainty that transactions willoccur in a consistent and predictable manner and without unknown orunascertainable risks. In addition, it will be appreciated thatelectronic trading systems further impose additional expectations anddemands by market participants as to transaction processing speed,latency, capacity and response time, while creating additionalcomplexities relating thereto. Accordingly, as will be described, thedisclosed embodiments may further include functionality to ensure thatthe expectations of market participant are met, e.g. that transactionalintegrity and predictable system responses are maintained.

As was discussed above, electronic trading systems ideally attempt tooffer an efficient, fair and balanced market where market prices reflecta true consensus of the value of products traded among the marketparticipants, where the intentional or unintentional influence of anyone market participant is minimized if not eliminated, and where unfairor inequitable advantages with respect to information access areminimized if not eliminated.

The disclosed embodiments recognize that electronic messages such asincoming messages from market participants, e.g. trade order messages,etc., are sent from market participants, or their representatives, to anelectronic trading or market system. For example, a market participantmay submit an electronic message to the electronic trading system thatincludes an associated specific action to be undertaken by theelectronic trading system, such as such as entering a new trade orderinto the market or modifying an existing order in the market.

As used herein, a financial message, or an electronic message, refersboth to messages communicated by market participants to an electronictrading or market system and vice versa. The messages may becommunicated using packeting or other techniques operable to communicateinformation between systems and system components. Some messages mayhave associated actions to be taken in the electronic trading or marketsystem. Financial messages communicated to the electronic tradingsystem, also referred to as “inbound” messages, may include associatedactions that characterize the messages, such as trader orders, ordermodifications, order cancellations and the like, as well as othermessage types. Financial messages communicated from the electronictrading system, referred to as “outbound” messages, may include messagesresponsive to inbound messages, such as confirmation messages, or othermessages such as market update messages, quote messages, and the like.

An electronic trading system may operate using any trade matching orprocessing technique. For example, continuous auction processing orbatch auction processing may be used. Continuous auction processing is acommon trade processing technique and involves the placing and matchingof orders continuously as a market is open for accepting orders. Batchauction processing, however, varies from continuous auction processingin that orders are placed and collected over a period of time, andcollected orders are matched at the conclusion of the period of time.For example, with reference to FIG. 5, a market order book 710 maycollect orders from a starting time 712 to at ending time 714 of thecollection period. A time period may be any period of time. For example,one second, one minute, or one hour may be a time period. Further,orders may be provided, and subsequently entered into the market, on ablind basis during the collection period, such that market participantsproviding orders may not have the benefit of referencing previouslyand/or concurrently provided orders of the collection period as a guidein developing an offer for the market. At or after the ending time 714has elapsed collected placed orders are matched. Placed orders withoutan acceptable counter order thereto may remain unmatched. Consequently,the unmatched orders may be deleted from the market, or transitioned toa subsequent order collection period, depending on an implementation.Batch auction processing may involve many different time periods oforder collection, and during this time information may be made availableto the market that may affect a perception of the value of productscurrently being traded in the market. As such, a control of timingand/or execution of actions within the period of order collection may beprovided. For example, a market participant may find that it isadvantageous to have an order placed at a particular time within theorder collection time period.

Particular times within the order collection period may also becomewidely recognized as having value, resulting in increased orderplacement activity with respect thereto, and as such may burden thephysical processing capabilities of an electronic trading system.Because of this, an electronic trading system may ration or otherwiselimit the number of orders which may specify any given particular timewithin the order collection period. Thus limiting the resources requiredby the electronic trading system to process orders at the givenparticular times. In an embodiment, a temporal window order may be anorder type that is placed at a pre-specified time relative to thebeginning or conclusion of an order collection period in a batchauction. Further, the order period may be broken down into sub-periods,or windows which may be specified for an order's entry into anelectronic trading system or other order actions. For example, a oneminute long order entry collection period may be broken into 100 tenmillisecond windows, which may or may not be distinct and/or consecutivewindows of time. Also, a precise temporal window may be specified atwhich an order is to be entered into a system for purposes ofestablishing a first-in-first-out priority, or lack thereof, within thecollected orders. As such, an order may be placed for trading in anelectronic market, operating in the electronic trading system, at aspecified time, as technological considerations may dictate, prior tothe specific temporal parameter at which it is entered.

As indicated above, technological limitations of a system may beprovided so that an order is processed and actually entered in theelectronic trading system to establish a temporal priority at thespecified time. Once entered, a temporally specific order may be timestamped with the specified temporal entry parameter which may providethe market participant with flexibility of entering orders at specifictimes or during specific windows. As such, this process may reducecongestion during peak order entry times within an order collectionperiod of an electronic trading system by bringing the order into theelectronic trading system prior to a time at which it is to be entered.Thus limiting or otherwise reducing the resources required by theelectronic trading system to process orders during peak order entrytimes.

Further, an overuse of temporally specific orders may create congestionwithin the electronic trading system, and thus a specific allocation oftemporally specific orders may be provided to limit the use of suchtechniques. A system for allocating such orders may smooth out unevendemand for temporally specific orders during particularly desirabletimes during an order collection period. Thus limiting or otherwisereducing the resources required by the electronic trading system toprocess orders during peak order entry times. For example an allocationof temporally specific orders may be made amongst market participantssuch that each market participant is allowed to provide a maximum numberof temporally specific orders during each collection period, sub-period,or calibrated time stamped node of the period. Allocations may also bemade using various criteria and/or techniques. Some techniques mayinclude a reference to trading activity or volume recorded by a marketparticipant over a specified historical time period, selling temporallyspecific orders at a fixed price or through an auction process,allocation on a preferential basis to specified types of marketparticipants which are considered desirable in a marketplace such asmarket participants considered market makers or market participants fromparticular regions, or a hybrid allocation technique developed as acombination of various allocation techniques, including those disclosedherein.

Also, a market participant may find that it is advantageous to have anorder placed during the collection period, but conditional such that theorder may be modified upon the occurrence of an event prior to the endof the collection period. For example, a message may be received by theelectronic trading system that has an associated action involving theplacement of the order in the market during the order collection period.Subsequent to the placement of the order, an event may occur, and datarelating to the event may be received by the electronic trading system.In such a situation, the message may include another associated actionwhich involves a modification of the original order prior to theconclusion of the order collection period as a response to the receiveddata. As such, auto-canceling or auto-modifying orders may be used in abatch auction to dissipate risk associated with the passage of timeduring the accumulating of orders to be matched. By triggering suchactions on detectible events, a market participant may be protected fromplacing an order and having values changed during the order accumulationperiod based on the occurrence of an event. Such triggering events maybe the release of an economic statistic during the order collectionperiod, pricing information disseminated from other adjacent and/orcorrelated markets during the order collection period, a change inmarket sentiment as detected by the use of keywords in social media orin public statements of officials which may influence economic policies,including monetary and fiscal policies. Further, the cancelation ormodification action may be specified to be executed at a pre-specifiedtime, such as five milliseconds from the end of the collection period.As such, the execution of the modification or cancelation action may betriggered by an occurrence of an event and executed at a specified time.By specifying a time close to the close of the collection period, amarket participant may be able to benefit from as much availableinformation as may be made available during the course of the ordercollection period. Also, such configurations may preclude a subsequentflood of messages, such as from algorithmic order submission systems, toan electronic trading system due to event occurrences, as conditionalactions associated with the orders may already be loaded into the systemat the occurrence of the event, thus already taking into account thepossibilities of the occurrence of the specified events. In this way,excessive loading on electronic trading system computational resourcesmay be avoided so as to allow the system to perform more efficiently andeffectively.

Further, electronic trading systems may perform actions on orders placedfrom received messages based on various characteristics of the messagesand/or market participants associated with the messages. These actionsmay include matching the orders either during a continuous auctionprocess, or at the conclusion of a collection period during a batchauction process. The matching of order may be by any technique.

The matching of orders may occur based on a priority indicated by thecharacteristics of orders and market participants associated with theorders. Orders having a higher priority may be matched before orders ofa low priority. This priority may be determined using varioustechniques. For example, orders that were indicated by messages receivedearlier may receive a higher priority to match than orders that wereindicated by messages received later. Also, scoring or grading of thecharacteristics may provide for priority determination.

Generally, a market may involve market makers, such as marketparticipants who consistently provide bids and/or offers at specificprices in a manner typically conducive to balancing risk, and markettakers who may be willing to execute transactions at prevailing bids oroffers may be characterized by more aggressive actions so as to maintainrisk and/or exposure as a speculative investment strategy. From analternate perspective, a market maker may be considered a marketparticipant who places an order to sell at a price at which there is nopreviously or concurrently provided counter order. Similarly, a markettaker may be considered a market participant who places an order to buyat a price at which there is a previously or concurrently providedcounter order. A balanced and efficient market may involve both marketmakers and market takers, coexisting in a mutually beneficial basis. Themutual existence, when functioning properly, may facilitate liquidity inthe market such that a market may exist with “tight” bid-ask spreads anda “deep” volume from many currently provided orders such that largequantity orders may be executed without driving prices significantlyhigher or lower. As such, both market participant types are useful ingenerating liquidity in a market, but specific characteristics of marketactivity taken by market participants may provide an indication of aparticular market participant's effect on market liquidity. For example,a Market Quality Index (“MQI”) of an order may be determined using thecharacteristics. An MQI may be considered a value indicating alikelihood that a particular order will improve or facilitate liquidityin a market. That is, the value may indicate a likelihood that the orderwill increase a probability that subsequent requests and transactionfrom other market participants will be satisfied. As such, an MQI may bedetermined based on a proximity of the entered price of an order to amidpoint of a current bid-ask price spread, a size of the entered order,a volume or quantity of previously filled orders of the marketparticipant associated with the order, and/or a frequency ofmodifications to previous orders of the market participant associatedwith the order. In this way, an electronic trading system may functionto assess and/or assign an MQI to received electronic messages toestablish messages that have a higher value to the system, and thus thesystem may use computing resources more efficiently by expendingresources to match orders of the higher value messages prior toexpending resources of lower value messages.

While an MQI may be applied to any or all market participants, such anindex may also be applied only to a subset thereof, such as large marketparticipants, or market participants whose market activity as measuredin terms of average daily message traffic over a limited historical timeperiod exceeds a specified number. For example, a market participantgenerating more than 500, 1,000, or even 10,000 market messages per daymay be considered a large market participant.

In accordance with aspects of the disclosure, systems and methods aredisclosed for managing financial messages in an electronic market. Thedisclosed embodiments are preferably implemented with computer devicesand computer networks, such as those described with respect FIG. 4, thatallow users, e.g. market participants, to exchange trading information.It will be appreciated that the plurality of entities utilizing thedisclosed embodiments, e.g. the market participants, may be referred toby other nomenclature reflecting the role that the particular entity isperforming with respect to the disclosed embodiments and that a givenentity may perform more than one role depending upon the implementationand the nature of the particular transaction being undertaken, as wellas the entity's contractual and/or legal relationship with anothermarket participant and/or the exchange.

FIG. 1 depicts the communication of an electronic message 10 between asystem user or market participant 11 and an exchange computer system100, also referred to as an electronic trading system 100, as used tofacilitate electronic trading. The electronic message 10 may becommunicated with the exchange computer system using any protocol ortechnique, as will be discussed further below. For example, theelectronic message may be communicated using an open message standardimplementation, such as Financial Information eXchange (“FIX”) orFIX/FAST protocols. The electronic message may contain specific types ofdata that can be used by the exchange computer system 100 to facilitateelectronic trading. For example, the electronic message may containgeneral message data 12 such as a time stamp of receipt, and other datasuch as header data relating to the specific communication of themessage 10. The electronic message 10 may also contain informationrelating to a specific order, or orders, which the market participantdesires to be transacted using the exchange computer system. Primaryorder content 14 may involve any information from which a specific orderfor a financial product may be extracted or derived. For example, theelectronic message may include primary order content 14 such as anindicated specific financial product, a requested price to buy or sellthe financial product, a volume of financial products to buy or sell atthe requested price, as well as further characteristics of the ordersuch as information indicating the market participant associated withthe order. The electronic message may also include a primary action 15as associated with the order. A primary action 15 may be any action tobe undertaken by the exchange computer system 100 with respect to theorder. For example, the primary action 15 may involve placing the orderinto an electronic trading system such that the order may be matched andultimately traded. The primary action 15 may be explicit or implied. Forexample, the electronic message may contain data explicitly indicating aparticular action. Alternatively, the electronic message 10 may have animplied action based on the primary order content 14 and/or operation ofthe exchange computer system 100. For example, the exchange computersystem 100 may be configured to place an order extracted from theprimary order content 14 without the electronic message 10 containingexplicit data indicating a placement action for the order. Also, theprimary action 15 may also involve modifying, canceling, or otheractions to take with respect to an order previously placed in afinancial market.

An electronic message may also include other order content 16 as well asother actions 17 that may be associated with the order derived from theprimary order content 14. For example, the other order content 16 mayinvolve a specific time at which the primary action is to be undertakenby the exchange computer system. In an embodiment involving anelectronic trading system operating using batch auction principles, theelectronic message 10 involves other order content 16 which containsdata representative of a particular time between a beginning and an endof an order collection period at which the primary action 15, such asplacing an order into a market, associated with the at least oneelectronic message is to be executed.

Other actions 17 may also be included in an electronic message 10. In anembodiment, an electronic message 10 may also include an action tomodify the order extracted from the primary order content 14 and placedin an electronic trading system according to the primary action 15. Themodification action may be conditional, in that the modification actionshould be undertaken upon the detection of an event, which may bedescribed in the information of the other order content 16. In anembodiment involving an electronic trading system involving batchauction principles, an exchange computer system 100 may detect,subsequent to the execution of the primary action 15, when theelectronic message 10 involves other order content including datarepresentative of an event and the second action, whether the event hasoccurred after the executing of the primary action 15 of the electronicmessage 10 and prior to the end of an order collection period in whichthe primary action 15 was executed. The exchange computer system 100 mayfurther execute in response to detection of the occurrence of the event,prior to the end of the order collection period, the other action 17associated with the electronic message 10. The other action 17 mayinvolve modifying the placed order according to characteristicscontained in the other order content 16, or even canceling the order.

An exemplary trading network environment for implementing tradingsystems and methods is shown in FIG. 2A. An exchange computer system 100receives messages that include orders and transmits market data relatedto orders and trades to users, such as via wide area network 126 and/orlocal area network 124 and computer devices 114, 116, 118, 120 and 122,as will be described below, coupled with the exchange computer system100.

Herein, the phrase “coupled with” is defined to mean directly connectedto or indirectly connected through one or more intermediate components.Such intermediate components may include both hardware and softwarebased components. Further, to clarify the use in the pending claims andto hereby provide notice to the public, the phrases “at least one of<A>, <B>, . . . and <N>” or “at least one of <A>, <B>, . . . <N>, orcombinations thereof” are defined by the Applicant in the broadestsense, superseding any other implied definitions herebefore orhereinafter unless expressly asserted by the Applicant to the contrary,to mean one or more elements selected from the group comprising A, B, .. . and N, that is to say, any combination of one or more of theelements A, B, . . . or N including any one element alone or incombination with one or more of the other elements which may alsoinclude, in combination, additional elements not listed.

The exchange computer system 100 may be implemented with one or moremainframe, desktop or other computers, such as the computer 400described below with respect to FIG. 4. A user database 102 may beprovided which includes information identifying traders and other usersof exchange computer system 100, such as account numbers or identifiers,user names and passwords. An account data module 104 may be providedwhich may process account information that may be used during trades. Amatch engine module 106 may be included to match bid and offer pricesand may be implemented with software that executes one or morealgorithms for matching bids and offers. A trade database 108 may beincluded to store information identifying trades and descriptions oftrades. In particular, a trade database may store informationidentifying the time that a trade took place and the contract price. Anorder book module 110 may be included to compute or otherwise determinecurrent bid and offer prices, for example in a continuous auctionmarket, or also operate as an order accumulation buffer for a batchauction market. A market data module 112 may be included to collectmarket data and prepare the data for transmission to users. A riskmanagement module 134 may be included to compute and determine a user'srisk utilization in relation to the user's defined risk thresholds. Anorder processing module 136 may be included to decompose delta based andbulk order types for processing by the order book module 110 and/ormatch engine module 106. A message management module 140 may be includedto, among other things, receive, and extract orders from, electronicmessages as is indicated with one or more aspects of the disclosedembodiments. It will be appreciated that concurrent processing limitsmay be defined by or imposed separately or in combination, as wasdescribed above, on one or more of the trading system components,including the user database 102, the account data module 104, the matchengine module 106, the trade database 108, the order book module 110,the market data module 112, the risk management module 134, the orderprocessing module 136, or other component of the exchange computersystem 100.

In an embodiment, the message management module 140, as coupled with theorder books module 110, may be configured for receiving a plurality ofelectronic messages, each of the plurality of messages having anassociated action to be executed within a designated period of timehaving a beginning time and an ending time, wherein at least oneelectronic message of the plurality of electronic messages comprisesdata representative of a particular time between the beginning and endof the period of time at which the action associated with the at leastone electronic message is to be executed. The exchange computer system100 may then be further configured to execute the action associated withthe at least one temporally specific message at the particular time.

In another embodiment, the message management module 140, as coupledwith the order books module 110, may be configured for receiving aplurality of electronic messages, each of the plurality of messageshaving an associated action to be executed within a designated period oftime having a beginning time and an ending time, wherein a subset of theplurality of electronic messages each comprise a particular time betweenthe beginning and end of the period of time at which the actionassociated with the at least one electronic message is to be executed.The exchange computer system 100 may be further configured to executethe action associated with a portion of the subset, wherein the portionis limited to a specified maximum number of temporally specific messagesduring the period of time. The message management module 140 may definea point of ingress into the exchange computer system 100 where messagesare ordered and considered to be received by the system. This may beconsidered a point of determinism in the exchange computer system 100that defines the earliest point where the system can ascribe an order ofreceipt to arriving messages. The point of determinism may or may not beat or near the demarcation point between the exchange computer system100 and a public/internet network infrastructure.

In another embodiment, the message management module 140, as coupledwith the order books module 110, may be configured for receiving aplurality of electronic messages, each of the plurality of messagescomprising data representative of a period of time and an associatedfirst action to be executed therein, wherein at least one electronicmessage of the plurality of electronic messages further comprises datarepresentative of an event and a second action to be executed upon theoccurrence of the event prior to the end of the period of time. In anembodiment, the first action may include placing the associated orderinto an electronic market, and a second action may include modifying theassociated order. The message management module 140, as coupled with theorder books module 110, may also be configured for executing the firstaction of each of the plurality of electronic messages during thedesignated period of time. The message management module 140, as coupledwith the order books module 110, may also be configured for detecting,subsequent to the execution of the first action when the electronicmessage further comprises the data representative of the event and thesecond action, whether the event has occurred after the executing of thefirst action of the electronic message and prior to the end of the ofthe period of time. The message management module 140, as coupled withthe order books module 110, may also be configured for executing, inresponse to detection of the occurrence of the event, prior to the endof the period of time, the second action associated with themodification message.

The trading network environment shown in FIG. 2A includes exemplarycomputer devices 114, 116, 118, 120 and 122 which depict differentexemplary methods or media by which a computer device may be coupledwith the exchange computer system 100 or by which a user maycommunicate, e.g. send and receive, trade or other informationtherewith. It will be appreciated that the types of computer devicesdeployed by traders and the methods and media by which they communicatewith the exchange computer system 100 is implementation dependent andmay vary and that not all of the depicted computer devices and/ormeans/media of communication may be used and that other computer devicesand/or means/media of communications, now available or later developedmay be used. Each computer device, which may comprise a computer 400described in more detail below with respect to FIG. 4, may include acentral processor that controls the overall operation of the computerand a system bus that connects the central processor to one or moreconventional components, such as a network card or modem. Each computerdevice may also include a variety of interface units and drives forreading and writing data or files and communicating with other computerdevices and with the exchange computer system 100. Depending on the typeof computer device, a user can interact with the computer with akeyboard, pointing device, microphone, pen device or other input devicenow available or later developed.

An exemplary computer device 114 is shown directly connected to exchangecomputer system 100, such as via a T1 line, a common local area network(LAN) or other wired and/or wireless medium for connecting computerdevices, such as the network 420 shown in FIG. 4 and described belowwith respect thereto. The exemplary computer device 114 is further shownconnected to a radio 132. The user of radio 132, which may include acellular telephone, smart phone, or other wireless proprietary and/ornon-proprietary device, may be a trader or exchange employee. The radiouser may transmit orders or other information to the exemplary computerdevice 114 or a user thereof. The user of the exemplary computer device114, or the exemplary computer device 114 alone and/or autonomously, maythen transmit the trade or other information to the exchange computersystem 100.

Exemplary computer devices 116 and 118 are coupled with a local areanetwork (“LAN”) 124 which may be configured in one or more of thewell-known LAN topologies, e.g. star, daisy chain, etc., and may use avariety of different protocols, such as Ethernet, TCP/IP, etc. Theexemplary computer devices 116 and 118 may communicate with each otherand with other computer and other devices which are coupled with the LAN124. Computer and other devices may be coupled with the LAN 124 viatwisted pair wires, coaxial cable, fiber optics or other wired orwireless media. As shown in FIG. 1, an exemplary wireless personaldigital assistant device (“PDA”) 122, such as a mobile telephone, tabletbased compute device, or other wireless device, may communicate with theLAN 124 and/or the Internet 126 via radio waves, such as via WiFi,Bluetooth and/or a cellular telephone based data communicationsprotocol. PDA 122 may also communicate with exchange computer system 100via a conventional wireless hub 128.

FIG. 2A also shows the LAN 124 coupled with a wide area network (“WAN”)126 which may be comprised of one or more public or private wired orwireless networks. In one embodiment, the WAN 126 includes the Internet126. The LAN 124 may include a router to connect LAN 124 to the Internet126. Exemplary computer device 120 is shown coupled directly to theInternet 126, such as via a modem, DSL line, satellite dish or any otherdevice for connecting a computer device to the Internet 126 via aservice provider therefore as is known. LAN 124 and/or WAN 126 may bethe same as the network 420 shown in FIG. 4 and described below withrespect thereto.

As was described above, the users of the exchange computer system 100may include one or more market makers 130 which may maintain a market byproviding constant bid and offer prices for a derivative or security tothe exchange computer system 100, such as via one of the exemplarycomputer devices depicted. The exchange computer system 100 may alsoexchange information with other trade engines, such as trade engine 138.One skilled in the art will appreciate that numerous additionalcomputers and systems may be coupled to exchange computer system 100.Such computers and systems may include clearing, regulatory and feesystems.

The operations of computer devices and systems shown in FIG. 2A may becontrolled by computer-executable instructions stored on anon-transitory computer-readable medium. For example, the exemplarycomputer device 116 may include computer-executable instructions forreceiving order information from a user, transmitting that orderinformation to exchange computer system 100 in electronic messages,extracting the order information from the electronic messages, executingactions relating to the messages, and/or calculating values fromcharacteristics of the extracted order to facilitate matching orders andexecuting trades. In another example, the exemplary computer device 118may include computer-executable instructions for receiving market datafrom exchange computer system 100 and displaying that information to auser.

Of course, numerous additional servers, computers, handheld devices,personal digital assistants, telephones and other devices may also beconnected to exchange computer system 100. Moreover, one skilled in theart will appreciate that the topology shown in FIG. 2A is merely anexample and that the components shown in FIG. 2A may include othercomponents not shown and be connected by numerous alternativetopologies.

As shown in FIG. 2A, the Exchange computer system 100 further includes amessage management module 140 which may implement, in conjunction withthe market data module 112, the disclosed mechanisms for managingelectronic messages containing financial data sent between an exchangeand a plurality of market participants, or vice versa. However, as wasdiscussed above, the disclosed mechanisms may be implemented at anylogical and/or physical point(s) through which the relevant messagetraffic, and responses thereto, flows or is otherwise accessible,including one or more gateway devices, modems, the computers orterminals of one or more traders, etc.

FIG. 2B illustrates an embodiment of market order message management asimplemented using the message management module 140 and order booksmodule 110 of the exchange computer system 100. As such, a message 10may be received from a market participant at the exchange computersystem 100 by a message receipt module 144 of the message managementmodule. The message receipt module 144 will process the message 10 byinterpreting the content of the message based on the message transmitprotocol, such as the transmission control protocol (“TCP”), to providethe content of the message 10 for further processing by the exchangecomputer system.

Further processing may be performed by the order extraction module 146.The order extraction module 146 may be configured to detect, from thecontent of the message 10 provided by the message receipt module 144,characteristics of an order for a transaction to be undertaken in anelectronic marketplace. For example, the order extraction module 146 mayidentify and extract order content such as a price, product, volume, andassociated market participant for an order. The order extraction module146 may also identify and extract data indicating an action to beexecuted by the exchange computer system 100 with respect to theextracted order. The order extraction module may also identify andextract other order information and other actions associated with theextracted order. All extracted order characteristics, other information,and associated actions extracted from a message for an order may beconsidered an order as described and referenced herein.

The order may be communicated from the order extraction module 146 to anorder processing module 142. The order processing module 142 may beconfigured to interpret the communicated order, and manage the ordercharacteristics, other information, and associated actions as they areprocessed through an order books module 110 and eventually transacted onan electronic market. For example, the order processing module 142 mystore the order characteristics and other content and execute theassociated actions. In an embodiment, the order processing module mayexecute an associated action of placing the order into an order book foran electronic trading system managed by the order books module 110. Inan embodiment, placing an order into an order book and/or into anelectronic trading system may be considered a primary action for anorder. The order processing module 142 may be configured in variousarrangements, and may be configured as part of the order books module110, part of the message management module 140, or as an independentfunctioning module.

The embodiments described herein utilize trade related electronicmessages such as mass quote messages, individual order messages,modification messages, cancellation messages, etc., so as to enacttrading activity in an electronic market. The trading entity and/ormarket participant may have one or multiple trading terminals associatedwith the session. Furthermore, the financial instruments may befinancial derivative products. Derivative products may include futurescontracts, options on futures contracts, futures contracts that arefunctions of or related to other futures contracts, swaps, swaptions, orother financial instruments that have their price related to or derivedfrom an underlying product, security, commodity, equity, index, orinterest rate product. In one embodiment, the orders are for optionscontracts that belong to a common option class. Orders may also be forbaskets, quadrants, other combinations of financial instruments, etc.The option contracts may have a plurality of strike prices and/orcomprise put and call contracts. A mass quote message may be received atan exchange. As used herein, an exchange 100 includes a place or systemthat receives and/or executes orders.

It will be appreciated that the disclosed embodiments may be applicableto other types of messages depending upon the implementation. Further,the messages may comprise one or more data packets, datagrams or othercollection of data formatted, arranged configured and/or packaged in aparticular one or more protocols, e.g. the FIX protocol, TCP/IP,Ethernet, etc., suitable for transmission via a network 214 as wasdescribed, such as the message format and/or protocols described in U.S.Pat. No. 7,831,491 and U.S. Patent Publication No. 2005/0096999 A1, bothof which are incorporated by reference herein in their entirety.Further, the disclosed message management system may be implementedusing an open message standard implementation, such as FIX or FIX/FAST,or by an Exchange-provided API.

FIG. 3A indicates a flow chart for market electronic order messagemanagement, which may be implemented with computer devices and computernetworks, such as those described with respect to FIG. 4. Embodimentsmay involve all, more or fewer actions indicated by the blocks of FIG.3A. For example, an embodiment may involve receiving (Block 310) andexecuting (315). Another embodiment may involve receiving (Block 310),detecting (Block 320), and executing (Block 325). Yet another embodimentmay involve executing (Block 315), detecting (Block 320), and executing(Block 325). Other actions may also be added.

In an embodiment a plurality of electronic messages is received from thenetwork. The plurality of electronic message packets may be received ata network interface for the electronic trading system (Block 312). Theplurality of electronic messages may be sent from market participants.The plurality of messages may include order characteristics and haveassociated actions to be executed with respect to an order that may beextracted from the order characteristics. The action may involve anyaction as associated with transacting the order in an electronic tradingsystem. The actions may involve placing the orders within a particularmarket and/or order book of a market in the electronic trading system.

In an embodiment, the market may operate using characteristics thatinvolve collecting orders over a period of time, such as a batch auctionmarket. In such an embodiment, the period of time may be considered anorder accumulation period. The period of time may involve a beginningtime and an ending time, with orders placed in the market after thebeginning time, and the placed order matched at or after the endingtime. As such, the action associated with an order extracted from amessage may involve placing the order in the market within the period oftime. Also, electronic messages may be received prior to or after thebeginning time of the period of time.

The electronic messages may also include other data relating to theorder. In an embodiment, the other data may be data indicating aparticular time in which the action is to be executed. As such, theorder may be considered a temporally specific order. The particular timein which an action is undertaken may be established with respect to anymeasure of absolute or relative time. In an embodiment, the time inwhich an action is undertaken may be established with reference to thebeginning time of the time period or ending time of the time period in abatch auction embodiment. For example, the particular time may be aspecific amount of time, such as 10 milliseconds, prior to the endingtime of an order accumulation period in the batch auction. Further, theorder accumulation period may involve dissecting the accumulation periodinto multiple consecutive, overlapping, or otherwise divided,sub-periods of time. For example the sub-periods may involve distincttemporal windows within the order accumulation period. As such, theparticular time may be an indicator of a particular temporal windowduring the accumulation period. For example, the particular time may bespecified as the last temporal window prior to the ending time of theaccumulation period.

In an embodiment, the electronic message may also include other actionsto be taken with respect to the order. These other actions may beactions to be executed after the initial or primary action associatedwith the order. For example, the actions may involve modifying orcanceling an already placed order. Further, in an embodiment, the otherdata may indicate order modification characteristics. For example, theother data may include a price or volume change in an order. The otheractions may involve modifying the already placed order to align with theorder modification characteristics, such as changing the price or volumeof the already place order.

In an embodiment, other actions may be dependent actions. For example,the execution of the actions may involve a detection of an occurrence ofan event. Such triggering events may be described as other data in theelectronic message. For example, the triggering event may be a releaseof an economic statistic from an organization relating to a productbeing bought or sold in the electronic market, a receipt of pricinginformation from a correlated electronic market, a detection of a changein market sentiment derived from identification of keywords in socialmedia or public statements of official related to a product being boughtor sold in the electronic market, and/or any other event or combinationof events which may be detected by an electronic trading system.

In an embodiment, the action, or a primary action, associated with anorder may be executed (Block 315). For example, an order extracted fromelectronic message order characteristics may be placed into a market, oran electronic order book for a market, such that the order may bematched with other order counter thereto.

In an embodiment involving a market operating using batch auctionprinciples, the action, such as placing the order, may be executedsubsequent to the beginning time of the order accumulation period, butprior to the ending time of the order accumulation period. Further, asindicated above, a message may also include other information for theorder, such as a particular time the action is to be executed. In suchan embodiment, the action may be executed at the particular time. Forexample, in an embodiment involving a batch auction process havingsub-periods during an order accumulation period, an order may be placedduring a specified sub-period of the order accumulation period.

Also, it may be noted that messages may be received prior or subsequentto the beginning time of an order accumulation period. Orders extractedfrom messages received prior to the beginning time may have theassociated actions, or primary actions such as placing the order,executed at any time subsequent to the beginning time, but prior to theending time, of the order accumulation period when no particular timefor the execution is indicated in the electronic message. In anembodiment, messages received prior to the beginning time but not havinga particular time specified will have the associated action executed assoon as possible after the beginning time. Because of this, specifying atime for order action execution may allow a distribution and moredefinite relative time of order placement so as to allow resources ofthe electronic trading system to operate more efficiently.

In an embodiment, the execution of temporally specific messages may becontrolled by the electronic trading system such that a limited ormaximum number may be executed in any particular accumulation period, orsub-period. In an embodiment, the order accumulation time periodinvolves a plurality of sub-periods involving distinct temporal windows,a particular time indicated by a message may be indicative of aparticular temporal window of the plurality of temporal windows, and theexecution of the at least one temporally specific message is limited tothe execution of a specified sub-period maximum number of temporallyspecific messages during a particular sub-period. The electronic tradingsystem may distribute the ability to submit temporally specific messageto selected market participants. For example, only five temporallyspecific messages may be allowed in any one particular period orsub-period. Further, the ability to submit temporally specific messageswithin particular periods or sub-periods may be distributed based on anytechnique. For example, the temporally specific messages for aparticular sub-period may be auctioned off or otherwise sold by theelectronic trading system to market participants. Also, the electronictrading system may distribute the temporally specific messages topreferred market participants, or as an incentive to participate in aparticular market.

In an embodiment, an event occurrence may be detected (Block 320). Theevent occurrence may be the occurrence of an event that was specified asother information relating to an order extracted from an electronicmessage. The event may be a triggering event for a modification orcancelation action associated with an order. The event may be detectedsubsequent to the execution of the first action when an electronicmessage further comprises the data representative of the event and asecondary action associated with the order. In an embodiment involving amarket operating on batch auction principles, the event may be detectedsubsequent to the execution of a first action, placing an order, butprior to the ending time of an order accumulation period in which theaction was executed.

In an embodiment, other actions associated with an order may be executed(Block 325). The other actions may be any action associated with anorder. For example, the action may be a conditional action that isexecuted in response to a detection of an occurrence of an event (Block320). Further, in a market operating using batch auction principles, theconditional action may be executed after the placement of an orderduring an order accumulation period, but in response to a detection ofan occurrence of an event prior to an ending time of the orderaccumulation period. In such an embodiment, the conditional action maybe executed prior to the ending time of the order accumulation period.For example, the placed order may be canceled, or modified using otherprovided order characteristics in the message, in response to thedetection of the occurrence of the event.

An event may be any event. An event may be a release of an economicstatistic or a fluctuation of prices in a correlated market. An eventmay also be a perceptible change in market sentiment of a correlatedmarket. A change may be perceptible based on a monitoring of orders orsocial media for keywords in reference to the market in question. Forexample electronic trading systems may be configured to be triggered foraction by a use of keywords during a course of ongoing public statementsof officials who may be in a position to impact markets, such asCongressional testimony of the Chairperson of the Federal ReserveSystem.

The other, secondary, or supplemental action may also be considered amodification of a first action executed with respect to an order. Forexample, a cancelation may be considered a cancelation of the placementof the order. Further, a secondary action may have other data in themessage which indicates a specific time in which the secondary actionmay be executed. The specific time may be a time relative to a firstaction, or placement of the order, or relative to an accumulation periodin a batch auction market. For example, the specific time for executionof the secondary action may be at a time specified relative and prior tothe ending period of the order accumulation period. Further, multiplesecondary actions may be provided for a single order. Also, with eachsecondary action a different triggering event may be provided.

FIG. 3B is a flowchart indicating a method of managing incoming ordersas extracted from messages and placed in an electronic trading system soas to attempt the matching of orders, as may be implemented withcomputer devices and computer networks, such as those described withrespect to FIG. 4. The orders may be considered transactions to buy orsell a financial product, or to modify or cancel an existing order tobuy or sell the financial product. Embodiments may involve all, more orfewer actions indicated by the blocks of FIG. 3B. For example, anembodiment may involve receiving (Block 310) and executing (315).Another embodiment may involve receiving (Block 350), storing (Block360), and calculating (Block 365). Other actions may also be added.

In an embodiment, an incoming transaction may be received (Block 350).The incoming transaction may be from, and therefore associated with, amarket participant of an electronic market managed by an electronictrading system. The transaction may involve an order as extracted from areceived message, and may have an associated action. The actions mayinvolve placing an order to buy or sell a financial product in theelectronic market, or modifying or deleting such an order. In anembodiment, the financial product may be based on an associatedfinancial instrument which the electronic market is established totrade.

In an embodiment, the action associated with the transaction isdetermined (Block 355). For example, it may be determined whether theincoming transaction comprises an order to buy or sell a quantity of theassociated financial instrument or an order to modify or cancel anexisting order in the electronic market. Orders to buy or sell andorders to modify or cancel may be acted upon differently by theelectronic market. For example, data indicative of differentcharacteristics of the types of orders may be stored.

In an embodiment, data relating to the received transaction is stored(Block 360). The data may be stored in any device, or using anytechnique, operable to store and provide recovery of data. For example,a memory 404 or computer readable medium 410, may be used to store data,as is described below with respect to FIG. 4. Data may be storedrelating received transactions for a period of time, indefinitely, orfor a rolling most recent time period such that the stored data isindicative of the market participant's recent activity in the electronicmarket.

If and/or when a transaction is determined to be an order to modify orcancel a previously placed, or existing, order, data indicative of theseactions may be stored. For example, data indicative of a running countof a number or frequency of the receipt of modify or cancel orders fromthe market participant may be stored. A number may be a total number ofmodify or cancel orders received from the market participant, or anumber of modify or cancel orders received from the market participantover a specified time. A frequency may be a time based frequency, as ina number of cancel or modify orders per unit of time, or a number ofcancel or modify orders received from the market participant as apercentage of total transactions received from the participant, whichmay or may not be limited by a specified length of time.

If and/or when a transaction is determined to be an order to buy or sella financial product, or financial instrument, other indicative data maybe stored. For example, data indicative of quantity and associated priceof the order to buy or sell may be stored.

Further, when a transaction is determined to be an order to buy or sella financial product, or financial instrument, a quality of activity asrelated to the market participant associated with the order may becalculated (Block 365). The quality may be calculated as a specificvalue indicative of such quality, or a quality value. A value indicativeof a quality of market activity may be considered a value that indicateswhether the market activity of the market participant is conducive toimproving market liquidity. As such, a quality value may be indicativeof previously received transactions from the market participant havingincreased a probability that the processor will successfully match asubsequently received incoming order to buy or sell the associatedfinancial instrument with at least one other received but unsatisfiedorder for a transaction counter thereto for the associated financialinstrument, to at least partially satisfy one or both of the incomingorder or the at least one other received order. Further, the value maybe calculated based on the price of the incoming order, previouslystored quantities, previously stored data indicative of previouslyreceived orders to modify or cancel, and previously stored dataindicative of a result of attempts to match previously received ordersstored in association with the market participant.

A quality value may be considered a market quality index (“MQI”),indicative of the market participant's quality of market activity. Assuch, particular categories of market activity may be quantified as aparticular score for respective particular categories. Further, thescores of each, or selected, particular categories of market activitymay be summed or added together to calculate the quality value or MQI.In an embodiment, the scores for the particular categories may bedetermined as percentile scores for a market participant in theparticular category, as compared with other or all market participantsin the electronic market. Further, particular category scores may bedetermined using data limited to transactions received over a particularlength of time, or a most recent number of received transactions. Also,the particular length of time may be a most recent length of time, andas such a rolling window of time indicative of recent market activity ofthe market participant.

One of the particular categories may be a price proximity category. Aproximity category may involve a proximity score indicating a proximityof the received order price to a midpoint of a current price spread ofcurrently unmatched orders. A price spread may be any type of pricespread or range or available prices for the product of the electronicmarket. For example, a price spread may be a difference between ahighest price associated with a buy order and a lowest price associatedwith a sell order. Further, a proximity may be determined using anytechnique. In an embodiment, a raw difference between the received orderprice and an average price of the price spread (i.e. bid-ask spread) maybe used. For example, a bid-ask spread may be $93.00-$94.00 in a market.As such, the midpoint may be $93.50. An order to buy may then be placedinto the market at $92.00, having a corresponding proximity to themidpoint of 1.5. Similarly, an order to buy may be placed in the marketat $94.00, which provides a 0.5 proximity to midpoint. Further, theproximity to midpoint may include designations of over/under midpointvalues. For example, prices for orders to buy may have a proximity tomidpoint defined as the bid-ask spread minus the price, providing valuesof 1.5 and −0.5 respectively for the examples above. Similarly, offersto sell may have a proximity to midpoint determined as the offer priceminus the midpoint, thus providing inverted designations from the offersto buy. Other statistical proximity indicators, such as a standarddeviation, or variance, as compared with other open or unmatched ordersin the electronic market may also be used.

Another particular category may be an order size category. Largerquantities may be more desirable for liquidity generation than smallerquantities, and as such a market may encourage larger orders byquantifying historical order sizes of market participants in the ordersize category. The size category may involve a size score indicative ofan average quantity of previously received orders from the marketparticipant determined using the previously stored quantities. Theaverage may be determined using any technique, such as a statisticalmean or arithmetic average.

Another particular category may be a matched order volume category. Amarket may consider a number of previously matched orders by a marketparticipant an indicator of a willingness or propensity to trade. Assuch, the matched order volume may involve a volume score indicative ofa number of matched previously received orders from the marketparticipant determined using previously stored data indicative of aresult of attempts to match previously received orders stored inassociation with the market participant.

Yet another particular category may be an order modification category.Market activity characterized by rapid entry and subsequent cancellationor modification of orders that may move an offer to buy to a lowerprice, or an offer to sell to a higher price, may be considered notconducive to market liquidity. As such, an order modification categorymay involve a modification score indicative of a frequency of ordermodifications or cancellations of the market participant determinedusing the previously stored data indicative of previously receivedorders to modify or cancel from the market participant. It may be notedthat as orders may be modified multiple times, a measure of the numberof modifications on a percentage of total orders by a market participantmay be above 100%, or generally a larger number than the maximum totalnumber of orders provided to the market by the market participant.

In an embodiment, the particular categories may be weighted bydesignated weighting factors prior to the summing. In such anembodiment, the calculation of the quality value, or MQI, may becharacterized by Equation 1.V=(W _(P) ×S _(P))+(W _(S) ×S _(S))+(W _(V) ×S _(V))+(W _(M) ×S_(M))  Equation 1:

In Equation 1, V is the value, S_(P) is the proximity score, W_(P) isthe weighting factor for the proximity score, S_(S) is the size score,W_(S) is the weighting factor for the size score, S_(V) is the volumescore, W_(V) is the weighting factor for the volume score, S_(M) is themodification score, W_(M) is the weighting factor for the modificationscore. The weighting factors may be provided by any weighting technique.For example, each of the weighting factors may be an allocated value,wherein all the weighting factors added together equals 100% of a totalvalue. In an embodiment, each of the scored values may receive equalweighting, such as 25%. For example, if an order with an associatedmarket participant receives a proximity score of 50, a size score of 70,a volume score of 60 and a modification score of 35, a correspondingcalculated MQI may be 53.75 when the weighting factors are equalized at0.25. Note, that in such an embodiment, total MQI scores will varybetween 0 and 100. As such, with lower category scores indicating bettermarket activity characteristics, 0 may represent the minimum possible,or best possible, score, whereas 100 may represent the maximum, or worstpossible, score.

In an embodiment, each score may be determined as a percentilecomparative to other market participants. For example, if there are 100market participants and a particular market participant has a proximityscore that ranks that market participant as having the 40^(th) bestproximity score raw value, such a participant may be considered in the60^(th) percentile, and receive a 60 value as a proximity score. In analternative embodiment, the same market participant may receive a 40value as a proximity score. As understood by those with experience inthe art, a selection of whether a lower number or a higher number scoreis favorable may be determinative of how percentile scores are awardedor otherwise calculated.

An electronic market may then attempt to match the incoming order to buyor sell with an appropriate counter order to buy or sell (Block 370). Assuch, the electronic market may generate and/or execute trades offinancial products between market participants. Further, the attempts tomatch may be enhanced by providing that some orders to buy or sell inthe electronic market are given priority in matching over other ordersin the electronic market. As such, an identical order to buy or sell,i.e. an identical volume at an identical price, may be differentiatedbased on assigned priorities such that the order of the identical ordershaving a higher priority is matched prior to the order having a lowerpriority. Priorities may be determined using various techniques. In anembodiment, orders may be assigned priority deterministically, that isorders may be assigned priority based on when an order was placed in anelectronic market, such that orders placed earlier may have higherpriorities. Another technique for determining a priority for an ordermay be based on the quality value or MQI of an order. For example,orders having a better MQI, i.e. a smaller value, may be filled orotherwise selected for matching over and/or prior to orders having aworse MQI, i.e. a larger value.

In an embodiment involving a market operating using batch auctionprinciples, orders to buy or sell a product of a market may beaccumulated over a period of time, such as one (“1”) minute. At the endof the accumulation period, attempts to match the accumulated orders aremade. A matching process for a batch order market may involve filingaccumulated orders at a singular price. For example, accumulated counterorders may be overlaid using a supply curve based on the prices andquantities of accumulated orders. As such, matches may be made using anintersect of the two, i.e. buy and sell, supply and demand curves as asingular price, or also known as an equilibrium price, for matchingcounter orders. Contrarily, when there is no price intersect of thesupply and demand curves, no trades may be executed. Generally, when aprice intersect is determined, more orders meeting the matching pricecriteria on one curve than the other curve, and thus some number ofmatchable orders may not have corresponding counter orders, andconsequentially may not be matched. Priority of orders may be used todetermine which matchable orders are actually matched at the end of theorder accumulation period in the electronic market. For example, ordershaving a better MQI score or value may be selected for matching overorders having a worse MQI score.

An MQI score may be used for purposes aside from matching trades. Forexample, an MQI score may be determined using characteristics specificto a particular market participant, such as an MQI involving just size,volume, and modification scores as indicated above. Such other uses mayinclude any other use for a value indicative of a market participant'spropensity for improving market liquidity.

In an embodiment, an MQI value may be used to determine market messagethrottling in an electronic market. While electronic trading systems maybe capable of processing millions, or even billions, of incoming andoutgoing messages during a typical trading day, capacity for messagemanagement, and ultimately order management, is not unlimited. As aresult, an electronic market may adopt a practice of formally orinformally limiting, or throttling, the magnitude of message trafficinitiated by market participants. This throttling may be applied inlight of the informally perceived significance of a market participant'sactivities for an electronic marketplace. An MQI value may be utilizedto guide such throttling decisions such that the allowed magnitude ofmessage traffic becomes a function of a market participant's MQI value.

In an embodiment, an MQI value may be used to establish a fee structurefor the participation in a market of market participants. Exchanges mayestablish a fee structure that preferences certain market participants.As such, a fee structure may be established based on MQI values formarket participants, so that better MQI values correlate to lower feesfor the associated market participant.

In an embodiment, an MQI may be used to determine a focus for marketingor sales activities of a market exchange administrator. Marketing and/orsales activities are frequently focused on market participants ofgreater perceived importance. Reference to an MQI of a marketparticipant may be used to determine such marketing or sales activityfocus.

Data indicative of attempts to match incoming order may also be saved.The data may be stored in any device, or using any technique, operableto store and provide recovery of data. For example, a memory 404 orcomputer readable medium 410, may be used to store data, as is describedbelow with respect to FIG. 4.

The acts of the process as described with respect to FIG. 3B may also berepeated. As such, data for multiple received transactions for multiplemarket participants may be stored and used as describe herein.

FIG. 5 illustrates a timeline 705 for order actions 721 undertaken on aparticular market order book 710 of an order books module 110. In thisembodiment, the market order book 710 is operating under batch auctionprinciples such that there is an order accumulation period between abeginning time 712 and an ending time 714. During this orderaccumulation period, the exchange computer system 100 may provide orders720 and associated actions 721 to an order processing module 142. Theorder processing module 142 may execute the actions associated with theorders 720 according to the principles and/or rules for the execution ofactions in the market of the market order book 710. For example, atypical message 720A may involve a placement action 721A which directsthe order processing module to execute the placement action 721A at thetime when the order 720A is received, such that the order 720 is placedinto the market order book 710 for matching at the ending time 714 ofthe order accumulation period. At the ending time 714 the orderaccumulation period ends, and entered orders are matched. If noacceptable counter order to a placed order is provided in the marketorder book 710 at the ending time 714, that particular order may remainunmatched. Unmatched orders may be canceled and deleted from the orderbook, or transitioned to a subsequent order accumulation period of themarket order book 710.

In an embodiment, an order may be a temporally specific order 720C, andthe order 720C may include information indicating a specific time 732when the order is to be placed 721C in the market order book 710. Thisspecific time may be a specific moment in time, or an indicator of aparticular sub-period 730B of other sub-periods 730A when the order 720Cis to be placed in the market order book 710. Further, the rules of themarket for the market order book 710 may limit the number of temporallyspecific orders 720C that may be placed at specific times 732 orsub-periods 730B.

In an embodiment, a multiple action order 720B may be provided to theorder processing module 142. The multiple action order 720B may haveassociated multiple actions 721B, 721C that may be executed by the orderprocessing module. For example, the multiple action order 720B may beplaced 721B in the market order book 710, then a subsequent action 721D,such as an order modification or cancelation may be executed on theorder after the placement 721B of the order. Further, the subsequentaction 721D may be a conditional action, such that the action isexecuted in response to the detection of an occurrence of an event 725by the exchange computer system 100 and/or the order processing module142.

The order processing module 142 may also store data indicative ofcharacteristics of the extracted orders. For example, the orderprocessing module may store data indicative of orders having anassociated modify or cancel action 720B, such as by recording a count ofa the number of such orders associated with particular marketparticipants. The order processing module may also store data indicativeof quantities and associated prices of orders to buy or sell a productplaced in the market order book 710, as associated with particularmarket participants.

Also, the order processing module 142 may be configured to calculate andassociate with particular orders a value indicative of an associatedmarket participant's market activity quality. That is, a valueindicative of whether a market participant's market activity increasesliquidity of a market. This value may be determined based on the priceof the particular order, previously stored quantities of orders from theassociated market participant, the previously stored data indicative ofpreviously received orders to modify or cancel as associated with themarket participant, and previously stored data indicative of a result ofthe attempt to match previously received orders stored in associationwith the market participant. The order processing module 142 maydetermine or otherwise calculate scores indicative of the quality valuebased on these stored extracted order characteristics, such as an MQI asdescribed herein.

Also, the matching of orders at the end of the accumulation period 714may be facilitated using an order priority mechanism. For example, atthe end of the accumulation period, attempts to match the accumulatedorders are made, such as by a match engine. A matching process for abatch order market may involve filing accumulated orders at a singularprice. In such an embodiment, more orders meeting the matching pricecriteria may exist on one curve than the other curve, and thus somenumber of matchable orders may not have corresponding counter orders,and consequently may not be matched. Priority of orders may be used todetermine which matchable orders are actually matched at the end of theorder accumulation period in the electronic market. For example, ordershaving a better MQI score or value may be selected for matching overorders having a worse MQI score. Data indicative of order matches may bestored by a match engine and/or an order processing module 142, and usedfor determining MQI scores of market participants.

Referring to FIG. 4, an illustrative embodiment of a general computersystem 400 is shown. The computer system 400 can include a set ofinstructions that can be executed to cause the computer system 400 toperform any one or more of the methods or computer based functionsdisclosed herein. The computer system 400 may operate as a standalonedevice or may be connected, e.g., using a network, to other computersystems or peripheral devices. Any of the components discussed above,such as the processor 202, may be a computer system 400 or a componentin the computer system 400. The computer system 400 may implement amatch engine, margin processing, payment or clearing function on behalfof an exchange, such as the Chicago Mercantile Exchange, of which thedisclosed embodiments are a component thereof.

In a networked deployment, the computer system 400 may operate in thecapacity of a server or as a client user computer in a client-serveruser network environment, or as a peer computer system in a peer-to-peer(or distributed) network environment. The computer system 400 can alsobe implemented as or incorporated into various devices, such as apersonal computer (PC), a tablet PC, a set-top box (STB), a personaldigital assistant (PDA), a mobile device, a palmtop computer, a laptopcomputer, a desktop computer, a communications device, a wirelesstelephone, a land-line telephone, a control system, a camera, a scanner,a facsimile machine, a printer, a pager, a personal trusted device, aweb appliance, a network router, switch or bridge, or any other machinecapable of executing a set of instructions (sequential or otherwise)that specify actions to be taken by that machine. In a particularembodiment, the computer system 400 can be implemented using electronicdevices that provide voice, video or data communication. Further, whilea single computer system 400 is illustrated, the term “system” shallalso be taken to include any collection of systems or sub-systems thatindividually or jointly execute a set, or multiple sets, of instructionsto perform one or more computer functions.

As illustrated in FIG. 4, the computer system 400 may include aprocessor 402, e.g., a central processing unit (CPU), a graphicsprocessing unit (GPU), or both. The processor 402 may be a component ina variety of systems. For example, the processor 402 may be part of astandard personal computer or a workstation. The processor 402 may beone or more general processors, digital signal processors, applicationspecific integrated circuits, field programmable gate arrays, servers,networks, digital circuits, analog circuits, combinations thereof, orother now known or later developed devices for analyzing and processingdata. The processor 402 may implement a software program, such as codegenerated manually (i.e., programmed).

The computer system 400 may include a memory 404 that can communicatevia a bus 408. The memory 404 may be a main memory, a static memory, ora dynamic memory. The memory 404 may include, but is not limited tocomputer readable storage media such as various types of volatile andnon-volatile storage media, including but not limited to random accessmemory, read-only memory, programmable read-only memory, electricallyprogrammable read-only memory, electrically erasable read-only memory,flash memory, magnetic tape or disk, optical media and the like. In oneembodiment, the memory 404 includes a cache or random access memory forthe processor 402. In alternative embodiments, the memory 404 isseparate from the processor 402, such as a cache memory of a processor,the system memory, or other memory. The memory 404 may be an externalstorage device or database for storing data. Examples include a harddrive, compact disc (“CD”), digital video disc (“DVD”), memory card,memory stick, floppy disc, universal serial bus (“USB”) memory device,or any other device operative to store data. The memory 404 is operableto store instructions executable by the processor 402. The functions,acts or tasks illustrated in the figures or described herein may beperformed by the programmed processor 402 executing the instructions 412stored in the memory 404. The functions, acts or tasks are independentof the particular type of instructions set, storage media, processor orprocessing strategy and may be performed by software, hardware,integrated circuits, firm-ware, micro-code and the like, operating aloneor in combination. Likewise, processing strategies may includemultiprocessing, multitasking, parallel processing and the like.

As shown, the computer system 400 may further include a display unit414, such as a liquid crystal display (LCD), an organic light emittingdiode (OLED), a flat panel display, a solid state display, a cathode raytube (CRT), a projector, a printer or other now known or later developeddisplay device for outputting determined information. The display 414may act as an interface for the user to see the functioning of theprocessor 402, or specifically as an interface with the software storedin the memory 404 or in the drive unit 406.

Additionally, the computer system 400 may include an input device 416configured to allow a user to interact with any of the components ofsystem 400. The input device 416 may be a number pad, a keyboard, or acursor control device, such as a mouse, or a joystick, touch screendisplay, remote control or any other device operative to interact withthe system 400.

In a particular embodiment, as depicted in FIG. 4, the computer system400 may also include a disk or optical drive unit 406. The disk driveunit 406 may include a computer-readable medium 410 in which one or moresets of instructions 412, e.g. software, can be embedded. Further, theinstructions 412 may embody one or more of the methods or logic asdescribed herein. In a particular embodiment, the instructions 412 mayreside completely, or at least partially, within the memory 404 and/orwithin the processor 402 during execution by the computer system 400.The memory 404 and the processor 402 also may include computer-readablemedia as discussed above.

The present disclosure contemplates a computer-readable medium thatincludes instructions 412 or receives and executes instructions 412responsive to a propagated signal, so that a device connected to anetwork 420 can communicate voice, video, audio, images or any otherdata over the network 420. Further, the instructions 412 may betransmitted or received over the network 420 via a communicationinterface 418. The communication interface 418 may be a part of theprocessor 402 or may be a separate component. The communicationinterface 418 may be created in software or may be a physical connectionin hardware. The communication interface 418 is configured to connectwith a network 420, external media, the display 414, or any othercomponents in system 400, or combinations thereof. The connection withthe network 420 may be a physical connection, such as a wired Ethernetconnection or may be established wirelessly as discussed below.Likewise, the additional connections with other components of the system400 may be physical connections or may be established wirelessly.

The network 420 may include wired networks, wireless networks, orcombinations thereof. The wireless network may be a cellular telephonenetwork, an 802.11, 802.16, 802.20, or WiMax network. Further, thenetwork 420 may be a public network, such as the Internet, a privatenetwork, such as an intranet, or combinations thereof, and may utilize avariety of networking protocols now available or later developedincluding, but not limited to TCP/IP based networking protocols.

Embodiments of the subject matter and the functional operationsdescribed in this specification can be implemented in digital electroniccircuitry, or in computer software, firmware, or hardware, including thestructures disclosed in this specification and their structuralequivalents, or in combinations of one or more of them. Embodiments ofthe subject matter described in this specification can be implemented asone or more computer program products, i.e., one or more modules ofcomputer program instructions encoded on a computer readable medium forexecution by, or to control the operation of, data processing apparatus.While the computer-readable medium is shown to be a single medium, theterm “computer-readable medium” includes a single medium or multiplemedia, such as a centralized or distributed database, and/or associatedcaches and servers that store one or more sets of instructions. The term“computer-readable medium” shall also include any medium that is capableof storing, encoding or carrying a set of instructions for execution bya processor or that cause a computer system to perform any one or moreof the methods or operations disclosed herein. The computer readablemedium can be a machine-readable storage device, a machine-readablestorage substrate, a memory device, or a combination of one or more ofthem. The term “data processing apparatus” encompasses all apparatus,devices, and machines for processing data, including by way of example aprogrammable processor, a computer, or multiple processors or computers.The apparatus can include, in addition to hardware, code that creates anexecution environment for the computer program in question, e.g., codethat constitutes processor firmware, a protocol stack, a databasemanagement system, an operating system, or a combination of one or moreof them.

In a particular non-limiting, exemplary embodiment, thecomputer-readable medium can include a solid-state memory such as amemory card or other package that houses one or more non-volatileread-only memories. Further, the computer-readable medium can be arandom access memory or other volatile re-writable memory. Additionally,the computer-readable medium can include a magneto-optical or opticalmedium, such as a disk or tapes or other storage device to capturecarrier wave signals such as a signal communicated over a transmissionmedium. A digital file attachment to an e-mail or other self-containedinformation archive or set of archives may be considered a distributionmedium that is a tangible storage medium. Accordingly, the disclosure isconsidered to include any one or more of a computer-readable medium or adistribution medium and other equivalents and successor media, in whichdata or instructions may be stored.

In an alternative embodiment, dedicated hardware implementations, suchas application specific integrated circuits, programmable logic arraysand other hardware devices, can be constructed to implement one or moreof the methods described herein. Applications that may include theapparatus and systems of various embodiments can broadly include avariety of electronic and computer systems. One or more embodimentsdescribed herein may implement functions using two or more specificinterconnected hardware modules or devices with related control and datasignals that can be communicated between and through the modules, or asportions of an application-specific integrated circuit. Accordingly, thepresent system encompasses software, firmware, and hardwareimplementations.

In accordance with various embodiments of the present disclosure, themethods described herein may be implemented by software programsexecutable by a computer system. Further, in an exemplary, non-limitedembodiment, implementations can include distributed processing,component/object distributed processing, and parallel processing.Alternatively, virtual computer system processing can be constructed toimplement one or more of the methods or functionality as describedherein.

Although the present specification describes components and functionsthat may be implemented in particular embodiments with reference toparticular standards and protocols, the invention is not limited to suchstandards and protocols. For example, standards for Internet and otherpacket switched network transmission (e.g., TCP/IP, UDP/IP, HTML, HTTP,HTTPS) represent examples of the state of the art. Such standards areperiodically superseded by faster or more efficient equivalents havingessentially the same functions. Accordingly, replacement standards andprotocols having the same or similar functions as those disclosed hereinare considered equivalents thereof.

A computer program (also known as a program, software, softwareapplication, script, or code) can be written in any form of programminglanguage, including compiled or interpreted languages, and it can bedeployed in any form, including as a standalone program or as a module,component, subroutine, or other unit suitable for use in a computingenvironment. A computer program does not necessarily correspond to afile in a file system. A program can be stored in a portion of a filethat holds other programs or data (e.g., one or more scripts stored in amarkup language document), in a single file dedicated to the program inquestion, or in multiple coordinated files (e.g., files that store oneor more modules, sub programs, or portions of code). A computer programcan be deployed to be executed on one computer or on multiple computersthat are located at one site or distributed across multiple sites andinterconnected by a communication network.

The processes and logic flows described in this specification can beperformed by one or more programmable processors executing one or morecomputer programs to perform functions by operating on input data andgenerating output. The processes and logic flows can also be performedby, and apparatus can also be implemented as, special purpose logiccircuitry, e.g., an FPGA (field programmable gate array) or an ASIC(application specific integrated circuit).

Processors suitable for the execution of a computer program include, byway of example, both general and special purpose microprocessors, andanyone or more processors of any kind of digital computer. Generally, aprocessor will receive instructions and data from a read only memory ora random access memory or both. The essential elements of a computer area processor for performing instructions and one or more memory devicesfor storing instructions and data. Generally, a computer will alsoinclude, or be operatively coupled to receive data from or transfer datato, or both, one or more mass storage devices for storing data, e.g.,magnetic, magneto optical disks, or optical disks. However, a computerneed not have such devices. Moreover, a computer can be embedded inanother device, e.g., a mobile telephone, a personal digital assistant(PDA), a mobile audio player, a Global Positioning System (GPS)receiver, to name just a few. Computer readable media suitable forstoring computer program instructions and data include all forms of nonvolatile memory, media and memory devices, including by way of examplesemiconductor memory devices, e.g., EPROM, EEPROM, and flash memorydevices; magnetic disks, e.g., internal hard disks or removable disks;magneto optical disks; and CD ROM and DVD-ROM disks. The processor andthe memory can be supplemented by, or incorporated in, special purposelogic circuitry.

To provide for interaction with a user, embodiments of the subjectmatter described in this specification can be implemented on a devicehaving a display, e.g., a CRT (cathode ray tube) or LCD (liquid crystaldisplay) monitor, for displaying information to the user and a keyboardand a pointing device, e.g., a mouse or a trackball, by which the usercan provide input to the computer. Other kinds of devices can be used toprovide for interaction with a user as well; for example, feedbackprovided to the user can be any form of sensory feedback, e.g., visualfeedback, auditory feedback, or tactile feedback; and input from theuser can be received in any form, including acoustic, speech, or tactileinput.

Embodiments of the subject matter described in this specification can beimplemented in a computing system that includes a back end component,e.g., as a data server, or that includes a middleware component, e.g.,an application server, or that includes a front end component, e.g., aclient computer having a graphical user interface or a Web browserthrough which a user can interact with an implementation of the subjectmatter described in this specification, or any combination of one ormore such back end, middleware, or front end components. The componentsof the system can be interconnected by any form or medium of digitaldata communication, e.g., a communication network. Examples ofcommunication networks include a local area network (“LAN”) and a widearea network (“WAN”), e.g., the Internet.

The computing system can include clients and servers. A client andserver are generally remote from each other and typically interactthrough a communication network. The relationship of client and serverarises by virtue of computer programs running on the respectivecomputers and having a client-server relationship to each other.

The illustrations of the embodiments described herein are intended toprovide a general understanding of the structure of the variousembodiments. The illustrations are not intended to serve as a completedescription of all of the elements and features of apparatus and systemsthat utilize the structures or methods described herein. Many otherembodiments may be apparent to those of skill in the art upon reviewingthe disclosure. Other embodiments may be utilized and derived from thedisclosure, such that structural and logical substitutions and changesmay be made without departing from the scope of the disclosure.Additionally, the illustrations are merely representational and may notbe drawn to scale. Certain proportions within the illustrations may beexaggerated, while other proportions may be minimized. Accordingly, thedisclosure and the figures are to be regarded as illustrative ratherthan restrictive.

While this specification contains many specifics, these should not beconstrued as limitations on the scope of the invention or of what may beclaimed, but rather as descriptions of features specific to particularembodiments of the invention. Certain features that are described inthis specification in the context of separate embodiments can also beimplemented in combination in a single embodiment. Conversely, variousfeatures that are described in the context of a single embodiment canalso be implemented in multiple embodiments separately or in anysuitable sub-combination. Moreover, although features may be describedabove as acting in certain combinations and even initially claimed assuch, one or more features from a claimed combination can in some casesbe excised from the combination, and the claimed combination may bedirected to a sub-combination or variation of a sub-combination.

Similarly, while operations are depicted in the drawings and describedherein in a particular order, this should not be understood as requiringthat such operations be performed in the particular order shown or insequential order, or that all illustrated operations be performed, toachieve desirable results. In certain circumstances, multitasking andparallel processing may be advantageous. Moreover, the separation ofvarious system components in the embodiments described above should notbe understood as requiring such separation in all embodiments, and itshould be understood that the described program components and systemscan generally be integrated together in a single software product orpackaged into multiple software products.

One or more embodiments of the disclosure may be referred to herein,individually and/or collectively, by the term “invention” merely forconvenience and without intending to voluntarily limit the scope of thisapplication to any particular invention or inventive concept. Moreover,although specific embodiments have been illustrated and describedherein, it should be appreciated that any subsequent arrangementdesigned to achieve the same or similar purpose may be substituted forthe specific embodiments shown. This disclosure is intended to cover anyand all subsequent adaptations or variations of various embodiments.Combinations of the above embodiments, and other embodiments notspecifically described herein, will be apparent to those of skill in theart upon reviewing the description.

The Abstract of the Disclosure is provided to comply with 37 C.F.R. §1.72(b) and is submitted with the understanding that it will not be usedto interpret or limit the scope or meaning of the claims. In addition,in the foregoing Detailed Description, various features may be groupedtogether or described in a single embodiment for the purpose ofstreamlining the disclosure. This disclosure is not to be interpreted asreflecting an intention that the claimed embodiments require morefeatures than are expressly recited in each claim. Rather, as thefollowing claims reflect, inventive subject matter may be directed toless than all of the features of any of the disclosed embodiments. Thus,the following claims are incorporated into the Detailed Description,with each claim standing on its own as defining separately claimedsubject matter.

It is therefore intended that the foregoing detailed description beregarded as illustrative rather than limiting, and that it be understoodthat it is the following claims, including all equivalents, that areintended to define the spirit and scope of this invention.

What is claimed is:
 1. A computer implemented method of processing transactions in a system which implements a batch auction trading system of an electronic market using electronic messages, the method comprising: receiving, by a processor, a plurality of electronic messages, each of the plurality of electronic messages having an associated action to be executed, each of the plurality of electronic messages being received at any time within a designated period of time, of a plurality of continuous periods of time, having a beginning time and an ending time, after which the received plurality of electronic messages are to be processed by the electronic market and electronic messages are received for the next period of time of the plurality of continuous periods of time, the associated action comprising one of placing an order to buy or sell a product into the electronic market or modifying a previously placed order and wherein at least one electronic message of the plurality of electronic messages is a temporally specific message which comprises data representative of a particular time subsequent to the time of receipt between the beginning and end of the period of time at which the action associated with the at least one electronic message is to be executed; detecting and extracting, by the processor from each of the received electronic messages, data indicative of the associated action and, where the particular received electronic message is the temporally specific message, the data representative of the particular time; storing, by the processor, the received plurality of electronic messages in a memory coupled therewith in association with the extracted data; and executing, by the processor based on the extracted data, the action associated with the at least one temporally specific message at the particular time regardless of the time at which the at least one temporally specific message was received and executing, by the processor in the order of receipt, the action associated with the remaining of the received electronic messages upon expiration of the ending time, wherein when the action comprises placing the order, communicating the order to the electronic market and when the action comprises modifying a previously placed order, causing the previously placed order to be modified.
 2. The computer implemented method of claim 1, wherein the time period is a period of order accumulation for the batch auction trading system, and the passing of the end of the period of time triggers a matching of orders accumulated during the period of order accumulation.
 3. The computer implemented method of claim 1, wherein the particular time is established with reference to the beginning of the time period or the end of the time period.
 4. The computer implemented method of claim 1, wherein the time period comprises a plurality of sub-periods involving distinct temporal windows, and the particular time is indicative of a particular temporal window of the plurality of temporal windows.
 5. The computer implemented method of claim 4, wherein the particular time indicates a sub-period of the plurality of sub-periods that exists as the latest sub-period occurring prior to the end of the period.
 6. The computer implemented method of claim 1, wherein the receiving occurs during the time period.
 7. The computer implemented method of claim 1, wherein the receiving occurs prior to the beginning of the time period.
 8. A computer system for processing transactions in a system which implements a batch auction trading system of an electronic market using electronic messages, the system comprising: a memory operable to store a plurality of electronic messages, each of the plurality of electronic messages having an associated action to be executed, each of the plurality of electronic messages being received at any time within a designated period of time, of a plurality of continuous periods of time, having a beginning time and an ending time, after which the received plurality of electronic messages are to be processed by the electronic market and electronic messages are received for the next period of time of the plurality of continuous periods of time, the associated action comprising one of placing an order to buy or sell a product into the electronic market or modifying a previously placed order and wherein at least one electronic message of the plurality of electronic messages is a temporally specific message which comprises data representative of a particular time subsequent to the time of receipt between the beginning and end of the period of time at which the action associated with the at least one electronic message is to be executed; and a computer processor, coupled with the memory, the computer processor configured to extract from each of the received electronic messages, data indicative of the associated action and, where the particular received electronic message is the temporally specific message, the data representative of the particular time and execute, based on the extracted dated, the action associated with the at least one temporally specific message at the particular time regardless of the time at which the at least one temporally specific message was received and execute, in the order of receipt, the action associated with the remaining of the received electronic messages upon expiration of the ending time, wherein when the action comprises placing the order, the computer processor is further configured to communicate the order to the electronic market and when the action comprises modifying a previously placed order, the computer processor is further configured to cause the previously placed order to be modified.
 9. The system of claim 8, wherein the time period is a period of order accumulation for the batch auction trading system, and the passing of the end of the period of time triggers a matching of orders accumulated during the period of order accumulation.
 10. The system of claim 8, wherein the particular time is established with reference to the beginning of the time period or the end of the time period.
 11. The system of claim 8, wherein the time period comprises a plurality of sub-periods involving distinct temporal windows, and the particular time is indicative of a particular temporal window of the plurality of temporal windows.
 12. The system of claim 11, wherein the particular time indicates a sub-period of the plurality of sub-periods that exists as the latest sub-period occurring prior to the end of the period.
 13. The system of claim 8, wherein the messages are received during the time period.
 14. The system of claim 8, wherein the messages are received prior to the beginning of the time period.
 15. A non-transitory computer readable medium including instructions for processing transactions in a computer system which implements a batch auction trading system of an electronic market using electronic messages, that when executed by the computer system are operable to: receive a plurality of electronic messages, each of the plurality of electronic messages having an associated action to be executed, each of the plurality of electronic messages being received at any time within a designated period of time, of a plurality of continuous periods of time, having a beginning time and an ending time, after which the received plurality of electronic messages are to be processed by the electronic market and electronic messages are received for the next period of time of the plurality of continuous periods of time, the associated action comprising one of placing an order to buy or sell a product into the electronic market or modifying a previously placed order and wherein at least one electronic message of the plurality of electronic messages is a temporally specific message which comprises data representative of a particular time subsequent to the time of receipt between the beginning and end of the period of time at which the action associated with the at least one electronic message is to be executed; detect and extract, from each of the received electronic messages, data indicative of the associated action and, where the particular received electronic message is the temporally specific message, the data representative of the particular time; and execute, based on the extracted data, the action associated with the at least one temporally specific message at the particular time regardless of the time at which the at least one temporally specific message was received and execute, in the order of receipt, the action associated with the remaining of the received electronic messages upon expiration of the ending time, wherein when the action comprises placing the order, communicate the order to the electronic market and when the action comprises modifying a previously placed order, cause the previously placed order to be modified.
 16. The non-transitory computer readable medium of claim 15, wherein the time period is a period of order accumulation for the batch auction trading system, and the passing of the end of the period of time triggers a matching of orders accumulated during the period of order accumulation.
 17. The non-transitory computer readable medium of claim 15, wherein the particular time is established with reference to the beginning of the time period or the end of the time period.
 18. The non-transitory computer readable medium of claim 15, wherein the time period comprises a plurality of sub-periods involving distinct temporal windows, and the particular time is indicative of a particular temporal window of the plurality of temporal windows.
 19. The non-transitory computer readable medium of claim 18, wherein the particular time indicates a sub-period of the plurality of sub-periods that exists as the latest sub-period occurring prior to the end of the period.
 20. The non-transitory computer readable medium of claim 15, wherein the messages are received during the time period.
 21. The non-transitory computer readable medium of claim 15, wherein the messages are received prior to the beginning of the time period. 